Rough Volatility

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Rough Volatility

Christian Bayer,Peter K. Friz,Masaaki Fukasawa,Jim Gatheral,Antoine Jacquier,Mathieu Rosenbaum
Rough Volatility Book PDF

Author : Christian Bayer,Peter K. Friz,Masaaki Fukasawa,Jim Gatheral,Antoine Jacquier,Mathieu Rosenbaum
Publisher : SIAM
Page : 292 pages
File Size : 51,7 Mb
Release : 2023-12-18
Category : Mathematics
ISBN : 9781611977783

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Rough Volatility by Christian Bayer,Peter K. Friz,Masaaki Fukasawa,Jim Gatheral,Antoine Jacquier,Mathieu Rosenbaum Pdf

Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. The mathematical description of the volatility process has been an active topic of research for decades; however, driven by empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility behaves essentially as a fractional Brownian motion with a small Hurst parameter. The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling, providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject’s development and progression. This book is designed for researchers and graduate students in quantitative finance as well as quantitative analysts and finance professionals.

The Volatility Surface

Jim Gatheral
The Volatility Surface Book PDF

Author : Jim Gatheral
Publisher : Wiley
Page : 0 pages
File Size : 42,9 Mb
Release : 2006-09-11
Category : Business & Economics
ISBN : 0471792519

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The Volatility Surface by Jim Gatheral Pdf

Praise for The Volatility Surface "I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general models--achieving remarkable clarity without giving up sophistication, depth, or breadth." --Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University "Concise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences for pricing and hedging, and the theories that struggle to explain it." --Emanuel Derman, author of My Life as a Quant "Jim Gatheral is the wiliest practitioner in the business. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU's esteemed Courant Institute. The topics covered are at the forefront of research in mathematical finance and the author's treatment of them is simply the best available in this form." --Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in Mathematical Finance, New York University "Jim Gatheral is an acknowledged master of advanced modeling for derivatives. In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility." --Paul Wilmott, author and mathematician "As a teacher in the field of mathematical finance, I welcome Jim Gatheral's book as a significant development. Written by a Wall Street practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level of knowledge on derivatives which was not previously available. I strongly recommend it." --Marco Avellaneda, Director, Division of Mathematical Finance Courant Institute, New York University "Jim Gatheral could not have written a better book." --Bruno Dupire, winner of the 2006 Wilmott Cutting Edge Research Award Quantitative Research, Bloomberg LP

Rough Volatility

Giulia Livieri
Rough Volatility Book PDF

Author : Giulia Livieri
Publisher : Unknown
Page : 18 pages
File Size : 50,7 Mb
Release : 2017
Category : Electronic
ISBN : OCLC:1305380156

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Rough Volatility by Giulia Livieri Pdf

It has been recently shown that spot volatilities can be very well modeled by rough stochastic volatility type dynamics. In such models, the log-volatility follows a fractional Brownian motion with Hurst parameter smaller than 1/2. This result has been established using high frequency volatility estimations from historical price data. We revisit this finding by studying implied volatility based approximations of the spot volatility. Using at-the-money options on the S&P500 index with short maturity, we are able to confirm that volatility is rough. The Hurst parameter found here, of order 0.3, is slightly larger than that usually obtained from historical data. This is easily explained from a smoothing effect due to the remaining time to maturity of the considered options.

Options - 45 Years Since The Publication Of The Black-scholes-merton Model: The Gershon Fintech Center Conference

David Gershon,Alexander Lipton,Mathieu Rosenbaum,Zvi Wiener
Options 45 Years Since The Publication Of The Black scholes merton Model The Gershon Fintech Center Conference Book PDF

Author : David Gershon,Alexander Lipton,Mathieu Rosenbaum,Zvi Wiener
Publisher : World Scientific
Page : 554 pages
File Size : 55,7 Mb
Release : 2022-12-21
Category : Business & Economics
ISBN : 9789811259159

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Options - 45 Years Since The Publication Of The Black-scholes-merton Model: The Gershon Fintech Center Conference by David Gershon,Alexander Lipton,Mathieu Rosenbaum,Zvi Wiener Pdf

This book contains contributions by the best-known and consequential researchers who, over several decades, shaped the field of financial engineering. It presents a comprehensive and unique perspective on the historical development and the current state of derivatives research. The book covers classical and modern approaches to option pricing, realized and implied volatilities, classical and rough stochastic processes, and contingent claims analysis in corporate finance. The book is invaluable for students, academic researchers, and practitioners working with financial derivatives, market regulation, trading, risk management, and corporate decision-making.

Machine Learning for Risk Calculations

Ignacio Ruiz,Mariano Zeron
Machine Learning for Risk Calculations Book PDF

Author : Ignacio Ruiz,Mariano Zeron
Publisher : John Wiley & Sons
Page : 471 pages
File Size : 49,8 Mb
Release : 2021-12-28
Category : Business & Economics
ISBN : 9781119791386

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Machine Learning for Risk Calculations by Ignacio Ruiz,Mariano Zeron Pdf

State-of-the-art algorithmic deep learning and tensoring techniques for financial institutions The computational demand of risk calculations in financial institutions has ballooned and shows no sign of stopping. It is no longer viable to simply add more computing power to deal with this increased demand. The solution? Algorithmic solutions based on deep learning and Chebyshev tensors represent a practical way to reduce costs while simultaneously increasing risk calculation capabilities. Machine Learning for Risk Calculations: A Practitioner’s View provides an in-depth review of a number of algorithmic solutions and demonstrates how they can be used to overcome the massive computational burden of risk calculations in financial institutions. This book will get you started by reviewing fundamental techniques, including deep learning and Chebyshev tensors. You’ll then discover algorithmic tools that, in combination with the fundamentals, deliver actual solutions to the real problems financial institutions encounter on a regular basis. Numerical tests and examples demonstrate how these solutions can be applied to practical problems, including XVA and Counterparty Credit Risk, IMM capital, PFE, VaR, FRTB, Dynamic Initial Margin, pricing function calibration, volatility surface parametrisation, portfolio optimisation and others. Finally, you’ll uncover the benefits these techniques provide, the practicalities of implementing them, and the software which can be used. Review the fundamentals of deep learning and Chebyshev tensors Discover pioneering algorithmic techniques that can create new opportunities in complex risk calculation Learn how to apply the solutions to a wide range of real-life risk calculations. Download sample code used in the book, so you can follow along and experiment with your own calculations Realize improved risk management whilst overcoming the burden of limited computational power Quants, IT professionals, and financial risk managers will benefit from this practitioner-oriented approach to state-of-the-art risk calculation.

Discrete-Time Approximations and Limit Theorems

Yuliya Mishura,Kostiantyn Ralchenko
Discrete Time Approximations and Limit Theorems Book PDF

Author : Yuliya Mishura,Kostiantyn Ralchenko
Publisher : Walter de Gruyter GmbH & Co KG
Page : 390 pages
File Size : 48,9 Mb
Release : 2021-10-25
Category : Mathematics
ISBN : 9783110654240

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Discrete-Time Approximations and Limit Theorems by Yuliya Mishura,Kostiantyn Ralchenko Pdf

Financial market modeling is a prime example of a real-life application of probability theory and stochastics. This authoritative book discusses the discrete-time approximation and other qualitative properties of models of financial markets, like the Black-Scholes model and its generalizations, offering in this way rigorous insights on one of the most interesting applications of mathematics nowadays.

Machine Learning and Data Sciences for Financial Markets

Agostino Capponi,Charles-Albert Lehalle
Machine Learning and Data Sciences for Financial Markets Book PDF

Author : Agostino Capponi,Charles-Albert Lehalle
Publisher : Cambridge University Press
Page : 742 pages
File Size : 47,6 Mb
Release : 2023-04-30
Category : Mathematics
ISBN : 9781316516195

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Machine Learning and Data Sciences for Financial Markets by Agostino Capponi,Charles-Albert Lehalle Pdf

Leveraging the research efforts of more than sixty experts in the area, this book reviews cutting-edge practices in machine learning for financial markets. Instead of seeing machine learning as a new field, the authors explore the connection between knowledge developed by quantitative finance over the past forty years and techniques generated by the current revolution driven by data sciences and artificial intelligence. The text is structured around three main areas: 'Interactions with investors and asset owners,' which covers robo-advisors and price formation; 'Risk intermediation,' which discusses derivative hedging, portfolio construction, and machine learning for dynamic optimization; and 'Connections with the real economy,' which explores nowcasting, alternative data, and ethics of algorithms. Accessible to a wide audience, this invaluable resource will allow practitioners to include machine learning driven techniques in their day-to-day quantitative practices, while students will build intuition and come to appreciate the technical tools and motivation for the theory.

Handbook of Price Impact Modeling

Kevin T Webster
Handbook of Price Impact Modeling Book PDF

Author : Kevin T Webster
Publisher : CRC Press
Page : 485 pages
File Size : 52,8 Mb
Release : 2023-05-05
Category : Mathematics
ISBN : 9781000877663

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Handbook of Price Impact Modeling by Kevin T Webster Pdf

Handbook of Price Impact Modeling provides practitioners and students with a mathematical framework grounded in academic references to apply price impact models to quantitative trading and portfolio management. Automated trading is now the dominant form of trading across all frequencies. Furthermore, trading algorithm rise introduces new questions professionals must answer, for instance: How do stock prices react to a trading strategy? How to scale a portfolio considering its trading costs and liquidity risk? How to measure and improve trading algorithms while avoiding biases? Price impact models answer these novel questions at the forefront of quantitative finance. Hence, practitioners and students can use this Handbook as a comprehensive, modern view of systematic trading. For financial institutions, the Handbook’s framework aims to minimize the firm’s price impact, measure market liquidity risk, and provide a unified, succinct view of the firm’s trading activity to the C-suite via analytics and tactical research. The Handbook’s focus on applications and everyday skillsets makes it an ideal textbook for a master’s in finance class and students joining quantitative trading desks. Using price impact models, the reader learns how to: Build a market simulator to back test trading algorithms Implement closed-form strategies that optimize trading signals Measure liquidity risk and stress test portfolios for fire sales Analyze algorithm performance controlling for common trading biases Estimate price impact models using public trading tape Finally, the reader finds a primer on the database kdb+ and its programming language q, which are standard tools for analyzing high-frequency trading data at banks and hedge funds. Authored by a finance professional, this book is a valuable resource for quantitative researchers and traders.

Perturbation Methods in Credit Derivatives

Colin Turfus
Perturbation Methods in Credit Derivatives Book PDF

Author : Colin Turfus
Publisher : John Wiley & Sons
Page : 256 pages
File Size : 40,8 Mb
Release : 2021-03-15
Category : Business & Economics
ISBN : 9781119609612

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Perturbation Methods in Credit Derivatives by Colin Turfus Pdf

Stress-test financial models and price credit instruments with confidence and efficiency using the perturbation approach taught in this expert volume Perturbation Methods in Credit Derivatives: Strategies for Efficient Risk Management offers an incisive examination of a new approach to pricing credit-contingent financial instruments. Author and experienced financial engineer Dr. Colin Turfus has created an approach that allows model validators to perform rapid benchmarking of risk and pricing models while making the most efficient use possible of computing resources. The book provides innumerable benefits to a wide range of quantitative financial experts attempting to comply with increasingly burdensome regulatory stress-testing requirements, including: Replacing time-consuming Monte Carlo simulations with faster, simpler pricing algorithms for front-office quants Allowing CVA quants to quantify the impact of counterparty risk, including wrong-way correlation risk, more efficiently Developing more efficient algorithms for generating stress scenarios for market risk quants Obtaining more intuitive analytic pricing formulae which offer a clearer intuition of the important relationships among market parameters, modelling assumptions and trade/portfolio characteristics for traders The methods comprehensively taught in Perturbation Methods in Credit Derivatives also apply to CVA/DVA calculations and contingent credit default swap pricing.

Brazilian Derivatives and Securities

Marcos C. S. Carreira,Richard J. Brostowicz Jr.
Brazilian Derivatives and Securities Book PDF

Author : Marcos C. S. Carreira,Richard J. Brostowicz Jr.
Publisher : Springer
Page : 303 pages
File Size : 53,5 Mb
Release : 2016-07-11
Category : Business & Economics
ISBN : 9781137477279

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Brazilian Derivatives and Securities by Marcos C. S. Carreira,Richard J. Brostowicz Jr. Pdf

The Brazilian financial markets operate in a very different way to G7 markets. Key differences include onshore and offshore markets, exponential rates, business days day-counts, and price formation from the futures markets (instead of the cash markets). This book provides a quantitative, applied guide to the offshore and onshore Brazilian markets, with a focus on the financial instruments unique to the region. It offers a comprehensive introduction to the key financial 'archaeology' in the Brazil context, exploring interest rates, FX and inflation and key differences from G7 market finance. It explores the core industry investment banking business in detail, from FX to interest rates and cash and inflation. Finally it introduces the region's unique financial instruments, as well as their pricing and risk management needs. Covering both introductory and complex topics, this book provides existing practitioners in Brazil, as well as those interested in becoming involved in these markets, everything they need to understand the market dynamics, risks, pricing and calibration of curves for all products currently available.

A Course on Rough Paths

Peter K. Friz,Martin Hairer
A Course on Rough Paths Book PDF

Author : Peter K. Friz,Martin Hairer
Publisher : Springer Nature
Page : 346 pages
File Size : 51,7 Mb
Release : 2020-05-27
Category : Mathematics
ISBN : 9783030415563

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A Course on Rough Paths by Peter K. Friz,Martin Hairer Pdf

With many updates and additional exercises, the second edition of this book continues to provide readers with a gentle introduction to rough path analysis and regularity structures, theories that have yielded many new insights into the analysis of stochastic differential equations, and, most recently, stochastic partial differential equations. Rough path analysis provides the means for constructing a pathwise solution theory for stochastic differential equations which, in many respects, behaves like the theory of deterministic differential equations and permits a clean break between analytical and probabilistic arguments. Together with the theory of regularity structures, it forms a robust toolbox, allowing the recovery of many classical results without having to rely on specific probabilistic properties such as adaptedness or the martingale property. Essentially self-contained, this textbook puts the emphasis on ideas and short arguments, rather than aiming for the strongest possible statements. A typical reader will have been exposed to upper undergraduate analysis and probability courses, with little more than Itô-integration against Brownian motion required for most of the text. From the reviews of the first edition: "Can easily be used as a support for a graduate course ... Presents in an accessible way the unique point of view of two experts who themselves have largely contributed to the theory" - Fabrice Baudouin in the Mathematical Reviews "It is easy to base a graduate course on rough paths on this ... A researcher who carefully works her way through all of the exercises will have a very good impression of the current state of the art" - Nicolas Perkowski in Zentralblatt MATH

Proceedings of the 2nd International Conference on Business and Policy Studies

Canh Thien Dang,Javier Cifuentes-Faura,Xiaolong Li
Proceedings of the 2nd International Conference on Business and Policy Studies Book PDF

Author : Canh Thien Dang,Javier Cifuentes-Faura,Xiaolong Li
Publisher : Springer Nature
Page : 1874 pages
File Size : 51,6 Mb
Release : 2023-10-07
Category : Political Science
ISBN : 9789819964413

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Proceedings of the 2nd International Conference on Business and Policy Studies by Canh Thien Dang,Javier Cifuentes-Faura,Xiaolong Li Pdf

This proceedings volume contains papers accepted by the 2nd International Conference on Business and Policy Studies (CONF-BPS 2023), which are carefully selected and reviewed by professional reviewers from corresponding research fields and the editorial team of the conference. This volume presents the latest research achievements, inspirations, and applications in applied economy, finance, enterprise management, public administration, and policy studies. CONF-BPS 2023 was a hybrid conference that includes several workshops (offline and online) around the world in Cardiff (Jan, 2023), London(Feb, 2023) and Sydney (Feb, 2023). Prof. Canh Thien Dang from King's College London, Prof. Arman Eshraghi from Cardiff Business School, and Prof. Kristle Romero Cortés from UNSW Business School have chaired those offline workshop.

Malliavin Calculus in Finance

Elisa Alos,David Garcia Lorite
Malliavin Calculus in Finance Book PDF

Author : Elisa Alos,David Garcia Lorite
Publisher : CRC Press
Page : 350 pages
File Size : 41,5 Mb
Release : 2021-07-14
Category : Mathematics
ISBN : 9781000403510

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Malliavin Calculus in Finance by Elisa Alos,David Garcia Lorite Pdf

Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic analysis. Originally motivated by the study of the existence of smooth densities of certain random variables, it has proved to be a useful tool in many other problems. In particular, it has found applications in quantitative finance, as in the computation of hedging strategies or the efficient estimation of the Greeks. The objective of this book is to offer a bridge between theory and practice. It shows that Malliavin calculus is an easy-to-apply tool that allows us to recover, unify, and generalize several previous results in the literature on stochastic volatility modeling related to the vanilla, the forward, and the VIX implied volatility surfaces. It can be applied to local, stochastic, and also to rough volatilities (driven by a fractional Brownian motion) leading to simple and explicit results. Features Intermediate-advanced level text on quantitative finance, oriented to practitioners with a basic background in stochastic analysis, which could also be useful for researchers and students in quantitative finance Includes examples on concrete models such as the Heston, the SABR and rough volatilities, as well as several numerical experiments and the corresponding Python scripts Covers applications on vanillas, forward start options, and options on the VIX. The book also has a Github repository with the Python library corresponding to the numerical examples in the text. The library has been implemented so that the users can re-use the numerical code for building their examples. The repository can be accessed here: https://bit.ly/2KNex2Y.

Quantitative Risk Management

Thomas S. Coleman
Quantitative Risk Management Book PDF

Author : Thomas S. Coleman
Publisher : John Wiley & Sons
Page : 581 pages
File Size : 55,8 Mb
Release : 2012-03-20
Category : Business & Economics
ISBN : 9781118235935

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Quantitative Risk Management by Thomas S. Coleman Pdf

State of the art risk management techniques and practices—supplemented with interactive analytics All too often risk management books focus on risk measurement details without taking a broader view. Quantitative Risk Management delivers a synthesis of common sense management together with the cutting-edge tools of modern theory. This book presents a road map for tactical and strategic decision making designed to control risk and capitalize on opportunities. Most provocatively it challenges the conventional wisdom that "risk management" is or ever should be delegated to a separate department. Good managers have always known that managing risk is central to a financial firm and must be the responsibility of anyone who contributes to the profit of the firm. A guide to risk management for financial firms and managers in the post-crisis world, Quantitative Risk Management updates the techniques and tools used to measure and monitor risk. These are often mathematical and specialized, but the ideas are simple. The book starts with how we think about risk and uncertainty, then turns to a practical explanation of how risk is measured in today's complex financial markets. Covers everything from risk measures, probability, and regulatory issues to portfolio risk analytics and reporting Includes interactive graphs and computer code for portfolio risk and analytics Explains why tactical and strategic decisions must be made at every level of the firm and portfolio Providing the models, tools, and techniques firms need to build the best risk management practices, Quantitative Risk Management is an essential volume from an experienced manager and quantitative analyst.

Getting Started in Exchange Traded Funds (ETFs)

Todd Lofton
Getting Started in Exchange Traded Funds ETFs Book PDF

Author : Todd Lofton
Publisher : John Wiley & Sons
Page : 303 pages
File Size : 46,5 Mb
Release : 2007-01-29
Category : Business & Economics
ISBN : 9780470107829

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Getting Started in Exchange Traded Funds (ETFs) by Todd Lofton Pdf

AN ACCESSIBLE INTRODUCTION TO ETFs GETTING STARTED IN Exchange Traded Funds "Todd Lofton delivers what he promises with an approach and advice that has the footprint of an experienced trader. Instead of addressing dummies,' he's written a book for the intelligent investor who is inexperienced using ETFs. It progresses through every area, from passive positions to options, in a way that makes you comfortable trading. You can see that the way he gives experienced advice at the end puts this book on a higher plane." -- Perry Kaufman, author of New Trading Systems and Methods, Fourth Edition "Todd Lofton has helped many investors get started in futures and options trading by turning complex subjects into clearly written magazine articles and books over the last 35 years. He has done it again with this book on ETFs, one of the hottest new investment areas. Anyone who is contemplating investing in stocks or mutual funds should check out his easy-to-understand explanation of ETFs, how to use them, and how they can play a valuable role in an investment portfolio." -- Darrell Jobman, Editor in Chief, TradingEducation.com, former editor of Futures magazine "The ETF market is exploding! With so many under-performing mutual funds, investing in ETFs is truly the intelligent way to invest. This is a great primer for anyone interested in understanding this market better." -- Chris Osborne, CFP, Senior Vice President- Wealth Management, Smith Barney First Launched in 1193, exchange traded funds (ETFs) continue to attract the interest of investors around the world. ETFs low costs, tax efficiencies, and liquidity make them ideal investment vehicles. If you're interested in ETFs but don't know where to begin, Getting Started in Exchange Traded Funds is the book for you. Written in a straightforward and easy-to-read manner, this practical guide clearly explains the ins-and-outs of ETFs. With only a sprinkling of math and no complicated jargon, Getting Started in Exchange Traded Funds will help you: * Look for an ETF that best matches a particular investment objective * Evaluate a particular ETFs performance * Forecast ETF prices with basic technical and fundamental analysis * Use ETFs for hedging * Employ options and futures on ETFs in a variety of trading strategies * Use ETFs for both long-term positions and day trading * And much more Filled with practical advice and illustrative examples, Getting Started in Exchange Traded Funds shows you how ETFs can make it easier for you to achieve your personal financial goals.